{"product_id":"numerical-methods-for-interest-rate-derivatives-von-hongjun-zhou","title":"Numerical Methods for Interest Rate Derivatives","description":"\u003cp\u003eIn this research, we study numerical methods for interest rate derivatives under several models. We consider pricing American put options on zero-coupon bonds under a single factor model of short-term rate, and valuing caps under Lognormal Forward-LIBOR Model (LFM). Monte Carlo method and a novel PDE method are illustrated for pricing caps under one-factor and two-factor LFM. Also, the performance of different models for pricing interest rate derivatives is compared.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783330822030\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783330822030","offer_id":39427656515677,"sku":"9783330822030","price":35.8,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/f78af414-6285-4750-98cb-445e3249ad8f.jpg?v=1764999516","url":"https:\/\/shop.autorenwelt.de\/products\/numerical-methods-for-interest-rate-derivatives-von-hongjun-zhou","provider":"Autorenwelt Shop","version":"1.0","type":"link"}